A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models
dc.contributor.author | Harris, Mark | |
dc.contributor.author | Mátyás, L. | |
dc.date.accessioned | 2020-11-26T07:26:24Z | |
dc.date.available | 2020-11-26T07:26:24Z | |
dc.date.issued | 2004 | |
dc.identifier.citation | Harris, M.N. and Mátyás, L. 2004. A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models. International Statistical Review. 72 (3): pp. 397-448. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/81809 | |
dc.identifier.doi | 10.1111/j.1751-5823.2004.tb00244.x | |
dc.description.abstract |
It is well known that the usual procedures for estimating panel data models are inconsistent in the dynamic setting. A large number of consistent estimators however, have been proposed in the literature. This paper provides a survey of the majority of mainstream estimators, which tend to consist of IV and GMM ones. It also considers a newly proposed extension to the promising Wansbeek-Bekker estimator (Harris & Matyas, 2000). To provide guidance to the applied researcher working on micro-datasets, the small sample performance of these estimators is evaluated using a set of Monte Carlo experiments. | |
dc.language | English | |
dc.publisher | Wiley-Blackwell Publishing Ltd. | |
dc.subject | Panel data, Dynamic models, Monte Carlo, IV and GMM estimators. | |
dc.title | A Comparative Analysis of Different IV and GMM Estimators of Dynamic Panel Data Models | |
dc.type | Journal Article | |
dcterms.source.volume | 72 | |
dcterms.source.number | 3 | |
dcterms.source.startPage | 397 | |
dcterms.source.endPage | 448 | |
dcterms.source.issn | 0306-7734 | |
dcterms.source.title | International Statistical Review | |
dcterms.source.place | United Kingdom | |
dc.date.updated | 2020-11-26T07:26:24Z | |
curtin.department | School of Economics, Finance and Property | |
curtin.accessStatus | Fulltext not available | |
curtin.faculty | Faculty of Business and Law | |
curtin.contributor.orcid | Harris, Mark [0000-0002-1804-4357] | |
curtin.contributor.scopusauthorid | Harris, Mark [35561581200] [55310794400] |